Modeling daily realized futures volatility with singular spectrum analysis
Year of publication: |
2002
|
---|---|
Authors: | Thomakos, Dimitrios D. ; Wang, Tao ; Wille, Luc T. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 312.2002, 3, p. 505-519
|
Publisher: |
Elsevier |
Subject: | Realized volatility | Singular spectrum analysis | Econophysics |
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